Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3783
Annualized Std Dev 0.4615
Annualized Sharpe (Rf=0%) -0.8197

Row

Daily Return Statistics

Close
Observations 3454.0000
NAs 1.0000
Minimum -0.2312
Quartile 1 -0.0154
Median -0.0028
Arithmetic Mean -0.0015
Geometric Mean -0.0019
Quartile 3 0.0114
Maximum 0.1873
SE Mean 0.0005
LCL Mean (0.95) -0.0024
UCL Mean (0.95) -0.0005
Variance 0.0008
Stdev 0.0291
Skewness -0.0629
Kurtosis 6.2115

Downside Risk

Close
Semi Deviation 0.0201
Gain Deviation 0.0221
Loss Deviation 0.0203
Downside Deviation (MAR=210%) 0.0256
Downside Deviation (Rf=0%) 0.0209
Downside Deviation (0%) 0.0209
Maximum Drawdown 0.9994
Historical VaR (95%) -0.0428
Historical ES (95%) -0.0669
Modified VaR (95%) -0.0461
Modified ES (95%) -0.0727
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-02-12 NA -0.9994 3007 2982 NA
2007-03-06 2007-11-06 2008-09-17 -0.3892 381 164 217
2008-10-28 2008-11-04 2008-11-17 -0.2782 15 6 9
2008-10-13 2008-10-13 2008-10-24 -0.2243 10 1 9
2008-09-18 2008-09-19 2008-09-29 -0.1206 8 2 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 1.6 -0.2 0 -0.8 1.4 0.9 -2.8 -2.9 2.9 2.4 3.7 6.1
2008 -3.9 2 -6.8 -5.8 -1.1 -0.4 1.4 4.3 2.2 -1.2 14.7 -1.5 2.3
2009 5.8 0.7 -5.2 -0.8 -6.5 -1 0.3 3.8 5.4 5.2 -2.9 2 6
2010 -2.9 -2.8 0.1 4.3 2.2 0.7 1 -5.6 0.2 -0.5 -4.4 0.6 -7.3
2011 -3.6 3.7 0.6 -0.4 4.1 -3.3 1 2 4.9 5.6 -1.2 0.5 14.2
2012 -2.2 -1.4 0.2 -0.7 5.7 -6.9 0.9 -1.6 1.1 -3.6 0.8 -3.5 -11.1
2013 -2 0 1.8 1.5 0.5 -1.4 -2.2 1.4 -0.4 1.5 -2.2 -1.1 -2.7
2014 -0.9 0.9 -3 0.2 0.2 -2.1 1.3 -0.8 3.7 -3.3 2.1 1 -1
2015 5 1.2 -0.4 -2.7 -0.1 -1.2 0.5 7.9 0.7 0.8 -0.8 3.8 15.1
2016 -1.2 -3.6 -0.2 1.9 0.9 -0.6 -1.3 -0.6 -1.2 1.9 5.6 2 3.5
2017 -1.4 -2.3 -0.6 0.4 -0.4 0.3 0.9 -0.1 -1.1 0.6 0.6 0.2 -2.9
2018 -1.2 3.4 -3.9 -0.8 -3.4 0.5 -1.1 0.3 -0.4 -1.7 -1.6 -0.9 -10.4
2019 -0.3 -2.1 -3 0.4 3.3 -2.9 1.5 0.2 2 -2.5 0.7 -0.7 -3.5
2020 4.7 -2.1 8.1 5.4 0 -0.6 -4.3 -3.5 -2.1 5 -2.7 -0.2 6.9
2021 -4.3 -5.9 -1.3 NA NA NA NA NA NA NA NA NA -11.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart